Macroeconomic news surprises and volatility spillover in foreign exchange markets

被引：0
|
作者：
Walid Ben Omrane
Christian Hafner
机构：
[1] Brock University,Goodman School of Business
[2] Catholic University of Louvain,Louvain School of Statistics, Biostatistics and Actuarial Sciences
来源：
Empirical Economics | 2015年 / 48卷
关键词：
Foreign exchange markets; Volatility spillover; News surprises; Impulse response analysis; F31; F4; C32; C5;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper examines the link between exchange rate volatility and economic fundamentals. In the framework of a multivariate volatility model that allows volatility spillover, we develop a new impulse response analysis to estimate and decompose the simultaneous effect of macroeconomic news surprises on the foreign exchange volatility. We show that news announcement effects include two components: a direct and an indirect effect induced by volatility spillover. We show that more than 50 % of the total accumulated news effect on the Pound and the Yen is due to volatility transmission from the two major currencies and mainly from the Euro.
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收藏
页码：577 / 607
页数：30
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